Hamiltonian Monte Carlo acceleration using surrogate functions with random bases

DOI10.1007/s11222-016-9699-1zbMath1384.65008arXiv1506.05555OpenAlexW2346910172WikidataQ46669317 ScholiaQ46669317MaRDI QIDQ1703832

Cheng Zhang, Babak Shahbaba, Hong-Kai Zhao

Publication date: 7 March 2018

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.05555

zbMATH Keywords

Markov chain Monte CarloHamiltonian dynamicsBayesian inferencesampling algorithmsurrogate methodrandom bases

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Learning and adaptive systems in artificial intelligence (68T05)

Related Items (10)

Variational Hamiltonian Monte Carlo via score matching ⋮ On the accept-reject mechanism for Metropolis-Hastings algorithms ⋮ A data-driven and model-based accelerated Hamiltonian Monte Carlo method for Bayesian elliptic inverse problems ⋮ Adaptive dimension reduction to accelerate infinite-dimensional geometric Markov chain Monte Carlo ⋮ Neural network gradient Hamiltonian Monte Carlo ⋮ Accelerating MCMC via Kriging-based adaptive independent proposals and delayed rejection ⋮ Modified Hamiltonian Monte Carlo for Bayesian inference ⋮ Emulation-accelerated Hamiltonian Monte Carlo algorithms for parameter estimation and uncertainty quantification in differential equation models ⋮ Hamiltonian Monte Carlo based on evidence framework for Bayesian learning to neural network ⋮ Laplacian Smoothing Stochastic Gradient Markov Chain Monte Carlo

Uses Software

• UCI-ml
• GPML
• GPS-ABC

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